The use of derivatives in the Spanish mutual fund industry
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- dc.contributor.author Marín, José M.ca
- dc.contributor.author Rangel, Thomas A.ca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:06Z
- dc.date.available 2017-07-26T10:50:06Z
- dc.date.issued 2006-11-01
- dc.date.modified 2017-07-23T02:10:48Z
- dc.description.abstract We study the use of derivatives in the Spanish mutual fund industry. The picture that emerges from our analysis is rather negative. In general, the use of derivatives does not improve the performance of the funds. In only one out of eight categories we find some (very weak and not robust) evidence of superior performance. In most of the cases users significantly underperform non users. Furthermore, users do not seem to exhibit superior timing or selectivity skills either, but rather the contrary. This bad performance is only partially explained by the larger fees funds using derivatives charge. Moreover, we do not find evidence of derivatives being used for hedging purposes. We do find evidence of derivatives being used for speculation. But users in only one category exhibit skills as speculators. Finally, we find evidence of derivatives being used to manage the funds cash inflows and outflows more efficiently.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=990
- dc.identifier.uri http://hdl.handle.net/10230/688
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 990
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword mutual funds
- dc.subject.keyword derivative use
- dc.subject.keyword risk management
- dc.subject.keyword Finance and Accounting
- dc.title The use of derivatives in the Spanish mutual fund industryca
- dc.type info:eu-repo/semantics/workingPaper